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The first book on risk model validation following Basel I and II initiatives

Table of Contents

Contents
Chapter 1 Determinants of small business default, Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu

Chapter 2 Validation of stress testing models, Jospeh L. Breeden

Chapter 3 The validity of credit risk model validation methods, George Christodoulakis and Stephen Satchell

Chapter 4 A moment-based procedure for evaluating risk forecasting models, Kevin Dowd

Chpater 5 Measuring concentration risk in credit portfolios, Klaus Duellmann

Chapter 6 A simple method for regulators to cross-check operational risk loss models for banks, Wayne Holland and ManMohan S. Sodhi

Chapter 7 Of the credibility of mapping and bencmarking credit risk estimates for internal rating systems, Vichett Oung

Chapter 8 Analytic models of the ROC curve: Applications to credit rating model validation, Stephen Satchell and Wei Xia

Chapter 9 The validation of the equity portfolio risk models, Stephen Satchell

Chapter 10 Dynamic risk analysis and risk model evaluation, Gunter Schwarz and Christoph Kessler

Chapter 11 Validation of internal rating systems and PD esitmates, Dirk Tasche

Index

About the Author

Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.